For unfunded credit protection the value G is the amount the protection provider has undertaken to pay in the event of the borrower’s default or other specified credit events. For credit derivatives that do not include restructuring as a credit event involving forgiveness or postponement of principal, interest or fees that result in a credit loss: where the protection amount is not higher than the exposure value, institutions shall reduce the value of the credit protection by 40%; where the protection amount is higher than the exposure value, the value of the credit protection shall be no higher than 60% of the exposure value.

Where unfunded credit protection is denominated in a different currency from the exposure, institutions shall apply a volatility adjustment: G* = G·(1 - Hfx), where G* is the adjusted amount, G the nominal amount and Hfx the volatility adjustment determined in accordance with paragraph 4; Hfx is zero where there is no currency mismatch. Institutions shall base Hfx on a 10 business day liquidation period with daily revaluation, calculate it using the Supervisory Volatility Adjustments Approach in Article 224 and scale up the adjustments in accordance with Article 226.